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Digitalisation transforms money from distinguishable physical objects into fungible informational units. A recent theoretical framework predicts that such indistinguishable wealth obeys bosonic occupancy statistics, leading to geometric…
We report on the use of sentiment analysis on news and social media to analyze and predict the price of Bitcoin. Bitcoin is the leading cryptocurrency and has the highest market capitalization among digital currencies. Predicting Bitcoin…
Several emerging PoW blockchain protocols rely on a "parallel-chain" architecture for scaling, where instead of a single chain, multiple chains are run in parallel and aggregated. A key requirement of practical PoW blockchains is to adapt…
Bitcoin's design promises resilience through decentralization, yet the physical infrastructure supporting the network creates hidden dependencies. We present the first longitudinal study of Bitcoin's resilience to submarine cable failures,…
We analyze the first and second moment risk premia in the Bitcoin market based on options and realized returns and contrast them to the premia embedded in the main US stock index market. First, Bitcoin is much more volatile and has a higher…
This paper conducts an extensive analysis of Bitcoin return series, with a primary focus on three volatility metrics: historical volatility (calculated as the sample standard deviation), forecasted volatility (derived from GARCH-type…
Bitcoin is a digital financial asset that is devoid of a central authority. This makes it distinct from traditional financial assets in a number of ways. For instance, the total number of tokens is limited and it has not explicit use value.…
Much significant research has been done to investigate various facets of the link between Bitcoin price and its fundamental sources. This study goes beyond by looking into least to most influential factors-across the fundamental,…
Our study empirically predicts the bubble of non-fungible tokens (NFTs): transferable and unique digital assets on public blockchains. This topic is important because, despite their strong market growth in 2021, NFTs on a project basis have…
The third Bitcoin halving that took place in May 2020 cut down the mining reward from 12.5 to 6.25 BTC per block and thus slowed down the rate of issuance of new Bitcoins, making it more scarce. The fourth and most recent halving happened…
This paper describes an architecture for predicting the price of cryptocurrencies for the next seven days using the Adaptive Network Based Fuzzy Inference System (ANFIS). Historical data of cryptocurrencies and indexes that are considered…
We assess the applicability of rough volatility models to Bitcoin realized volatility using the normalised p-variation framework of Cont and Das (2024). Applying this model-free estimator to high-frequency Bitcoin data from 2017 to 2024…
Cryptocurrencies are considered the latest innovation in finance with considerable impact across social, technological, and economic dimensions. This new class of financial assets has also motivated a myriad of scientific investigations…
This paper examines factors that influence prices of most common five cryptocurrencies such as Bitcoin, Ethereum, Dash, Litecoin, and Monero over 2010-2018 using weekly data. The study employs ARDL technique and documents several findings.…
Cryptocurrencies are highly volatile financial instruments with more and more new retail investors joining the scene with each passing day. Bitcoin has always proved to determine in which way the rest of the cryptocurrency market is headed…
The year 2024 witnessed a major development in the cryptocurrency industry with the long-awaited approval of spot Bitcoin exchange-traded funds (ETFs). This innovation provides investors with a new, regulated path to gain exposure to…
In this paper, we study the ability to make the short-term prediction of the exchange price fluctuations towards the United States dollar for the Bitcoin market. We use the data of realized volatility collected from one of the largest…
We present positive evidence of price stability of cryptocurrencies as a medium of exchange. For the sample years from 2016 to 2020, the prices of major cryptocurrencies are found to be stable, relative to major financial assets.…
Forecasting cryptocurrencies as a financial issue is crucial as it provides investors with possible financial benefits. A small improvement in forecasting performance can lead to increased profitability; therefore, obtaining a realistic…
This paper compares and contrasts stationarity between the conventional stock market and cryptocurrency. The dataset used for the analysis is the intraday price indices of the S&P500 from 1996 to 2023 and the intraday Bitcoin indices from…